My personal favorite handheld Zelda game is the Minish Cap. Not only is that the purest handheld Zelda game but also Vaati is an extremely well introduced and intriguing villain. The cherry on top, however, is definitely the amazing soundtrack, which effectively mixes new tunes with those famous ones from Ocarina of Time. Ezlo is also a freaking hilarious helper and one who doesn't overly annoy the player. I would have to rank Spirit Tracks in second as the beginning and end of the game are especially epic and it brought me great pleasure to finally control Zelda albeit in Phantom form. Also, Byrne is one of the greatest characters in franchise history in terms of design and development.
My ranking of the handheld Zelda games is as follows:
1. The Minish Cap
2. Spirit Tracks
3. Phantom Hourglass
4. Link's Awakening
5. Oracle of Seasons
6. Oracle of Ages